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Rank

Predicted Beta

Idiosyncratic Volatility

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Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 4 4
Score 3.69 3.37 3.12
Market Cap (Millions USD) 40.18 39.73 38.92
Predicted Beta 0.86 0.84 0.94
Idiosyncratic Volatility 7.22 5.18 7.98

Annualized return and volatility

JHMC
Annualized Return 0.1048
Annualized Std Dev 0.1429
Annualized Sharpe (Rf=0%) 0.7337

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Daily Return Statistics

JHMC
Observations 1082.0000
NAs 4032.0000
Minimum -0.0408
Quartile 1 -0.0032
Median 0.0000
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0049
Maximum 0.0508
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0001
Stdev 0.0090
Skewness -0.3152
Kurtosis 3.3416

Downside Risk

JHMC
Semi Deviation 0.0066
Gain Deviation 0.0062
Loss Deviation 0.0073
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0064
Downside Deviation (0%) 0.0064
Maximum Drawdown 0.2000
Historical VaR (95%) -0.0140
Historical ES (95%) -0.0226
Modified VaR (95%) -0.0145
Modified ES (95%) -0.0242
From Trough To Depth Length To Trough Recovery
2018-09-24 2018-12-24 2019-04-04 -0.2000 135 65 70
2015-11-04 2016-02-11 2016-08-11 -0.1642 196 69 127
2018-01-29 2018-04-02 2018-08-21 -0.1039 145 45 100
2019-07-17 2019-08-15 2019-11-18 -0.0876 89 22 67
2019-04-25 2019-06-03 2019-07-03 -0.0861 50 28 22

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Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec JHMC
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA NA NA NA
2003 NA NA NA NA NA NA NA NA NA NA NA NA NA
2004 NA NA NA NA NA NA NA NA NA NA NA NA NA
2005 NA NA NA NA NA NA NA NA NA NA NA NA NA
2006 NA NA NA NA NA NA NA NA NA NA NA NA NA
2007 NA NA NA NA NA NA NA NA NA NA NA NA NA
2008 NA NA NA NA NA NA NA NA NA NA NA NA NA
2009 NA NA NA NA NA NA NA NA NA NA NA NA NA
2010 NA NA NA NA NA NA NA NA NA NA NA NA NA
2011 NA NA NA NA NA NA NA NA NA NA NA NA NA
2012 NA NA NA NA NA NA NA NA NA NA NA NA NA
2013 NA NA NA NA NA NA NA NA NA NA NA NA NA
2014 NA NA NA NA NA NA NA NA NA NA NA NA NA
2015 NA NA NA NA NA NA NA NA NA 0.0 0.8 0.0 0.8
2016 0.0 0.8 0 0.0 0.0 1.3 0.0 0.2 0.0 0.0 0.0 0.0 2.3
2017 -0.3 1.1 0 0.1 1.6 0.0 0.0 0.4 0.0 -0.2 -1.0 0.0 1.6
2018 -1.3 -1.5 0 -0.2 1.4 0.0 -1.0 0.0 -0.2 1.9 0.0 0.0 -1.0
2019 -0.4 0.7 1 -0.9 0.0 0.6 -2.1 0.0 -0.8 0.7 0.0 0.2 -1.1

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Rolling Performance Chart

Snail Trail Chart